Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return -0.0225
Annualized Std Dev 0.1927
Annualized Sharpe (Rf=0%) -0.1169

Row

Daily Return Statistics

Close
Observations 4353.0000
NAs 1.0000
Minimum -0.2333
Quartile 1 -0.0039
Median 0.0005
Arithmetic Mean 0.0000
Geometric Mean -0.0001
Quartile 3 0.0044
Maximum 0.1713
SE Mean 0.0002
LCL Mean (0.95) -0.0004
UCL Mean (0.95) 0.0003
Variance 0.0001
Stdev 0.0121
Skewness -1.7381
Kurtosis 61.4972

Downside Risk

Close
Semi Deviation 0.0092
Gain Deviation 0.0090
Loss Deviation 0.0116
Downside Deviation (MAR=210%) 0.0136
Downside Deviation (Rf=0%) 0.0092
Downside Deviation (0%) 0.0092
Maximum Drawdown 0.6451
Historical VaR (95%) -0.0141
Historical ES (95%) -0.0289
Modified VaR (95%) -0.0102
Modified ES (95%) -0.0102
From Trough To Depth Length To Trough Recovery
2013-01-10 2020-03-18 NA -0.6451 2063 1809 NA
2004-01-28 2008-11-20 2012-02-24 -0.5551 2035 1215 820
2012-04-17 2012-06-01 2012-07-13 -0.0894 62 33 29
2012-10-09 2012-11-15 2013-01-07 -0.0890 60 26 34
2012-03-06 2012-03-06 2012-04-13 -0.0266 28 1 27

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2003 NA NA NA NA NA NA NA NA NA NA NA 0.4 0.4
2004 0.2 1.7 1.2 -1 -1.2 2.1 1.4 -0.6 0.1 0.3 0.2 0.9 5.3
2005 0.9 -0.1 -0.3 0.8 0.6 1.1 -0.6 -0.1 0.6 0.9 0.3 4.5 8.9
2006 0.4 0.4 0.7 -0.2 -0.2 -1 0.3 0.4 -0.4 -0.2 0.2 -0.2 0.3
2007 0.2 -0.4 -0.1 0.1 -0.3 0.1 -2.4 1.2 0.8 -0.1 -0.1 0.8 -0.1
2008 0.4 -0.4 1.4 -0.5 -0.1 -0.3 1.5 -0.4 3.8 -0.2 -4.8 1.9 2.3
2009 0.4 -2.2 1.1 1.5 2.3 1.6 0.3 0 0 -3.2 1 -0.5 2.4
2010 1.4 1.1 0.2 -0.5 -2.5 -0.5 0.3 0.5 0.5 0.1 0.2 -0.1 0.5
2011 0.3 0.3 0 0.6 -0.5 1 2.1 0.1 -1.3 -0.5 -0.1 0.4 2.5
2012 -0.3 1.3 -0.5 0.1 -1.2 1.3 1 0.7 0.8 1 -0.6 0.1 3.7
2013 -0.1 0.4 0.3 1.3 -3 0.3 -0.3 -0.6 0 -0.2 0.5 -0.1 -1.6
2014 -0.5 0.2 0.5 0.8 0.6 -0.4 -0.2 0.4 0.4 0.3 -2.1 -0.5 -0.6
2015 -0.7 0.2 -0.1 0.1 -0.1 -0.1 0.7 0.6 0.4 0.8 1.1 0.4 3.3
2016 0.2 1 -0.5 0.3 0.6 0.3 -0.4 0.2 0.2 0.2 -1.1 -0.7 0.2
2017 0.1 -0.2 0.6 0.7 0.3 0.1 0.1 0.3 0.4 0.1 0 0 2.5
2018 0.9 -0.2 0.3 0.1 -0.3 -0.3 -0.7 -0.1 0.7 1 0.8 0.1 2.3
2019 1.4 0.3 1.6 0.1 -0.9 -0.2 0.3 -1 -0.5 0.7 0.3 0 2.2
2020 -1.2 -2.7 -1.4 0.3 1.1 0.6 0.5 1.3 1.2 -0.8 0.7 0.2 -0.3
2021 1.2 1 1.7 NA NA NA NA NA NA NA NA NA 3.9

Row

Price Chart

Row

Rolling Performance Chart

Row

Snail Trail Chart